Smooth pasting

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Smooth pasting (also called high-contact condition) is a kind of boundary condition used to model the American option.[1] It tells that the American option value is maximized by an exercise strategy that makes the option value and option delta continuous. [2]

References

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  1. ^ Seydel, pp. 143–145.
  2. ^ Wilmott, pp. 154–155.
Sources
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